TAA
Posted: Tue Feb 26, 2019 5:39 am
Those who do not own Trading Blox can test this system using a free on-line demonstration. Go to https://virtual.tradingblox.net/ and enter “ETFDemo” as the license name and key.
Back in 2008 I wrote a book called "A Practical Guide to ETF Trading Systems" https://www.harriman-house.com/press/full/498 and I have spent a great deal of time since that date thinking about and coding simple systems to allocate assets using Exchange Traded Funds.
I have not been very consistent since that date in my own trading and investment. Having tinkered with futures and trend following for some years before my account was blown up in the Corzine inspired MF Global meltdown, I was always by nature more of a passive investor than a trader. I therefore looked more towards systems which required little maintenance.
For many years I also pondered the nature of markets in relation to physics. In particular I ventured far down the rabbit hole of randomness and determinism. I looked at chaos theory where, rightly or wrongly, it seems to have been decided that chaotic systems are unpredictable even if they are ultimately deterministic.
I decided that in my view it is impossible to predict stock prices and therefor gave up the attempt.
In trading I have always aimed to shoot the lights out - and for many years I managed this rather well. Not through any sort of skill or genius but by taking advantage of an anomaly - the market for Initial Public Offerings. Buying stock from the underwriters before issue and selling when trading commenced.
It dawned on me slowly that this sort of anomaly is necessary for successful trading and that particular anomaly did not last for a number of reasons. Trend Following in the futures markets likewise suited many and made them handsome fortunes for some years - then for a different clutch of reasons it ceased to work so well and a number of the best known CTAs went bust - or rather their funds did.
Other market anomalies continue to work but remain outside the reach of the mere mortal. Steve Cohen made staggering returns for many years but he was eventually closed down by the SEC for well documented reasons. High Frequency Trading relies on the bid offer spread and legal (?) front running but is too costly and complex for most of us.
And so on throughout the years. Traders and hedge fund managers have found a niche, they have lived and prospered from huge fees. And then their niche has disappeared and so have they. Often the managers will have acquired riches beyond dreams. Usually their investors will not have been so lucky.
If you can find such a niche, go for it.
But there is a less glamorous approach to markets for those who can not. Simple asset allocation, particularly in the stock markets. Over time, since the beginning of the industrial revolution and continuing through our current technological revolution, stock markets have shown an upward drift. Over the long term it has thus far been possible to invest and prosper by simply holding stock market assets. But this is only possible if some sort of quantitative approach is adopted since the great majority of stocks end without value.
The stock market index is such a strategy - it buys winners and sells losers.
It may be possible to better index returns using simple asset allocation strategies, tactical or otherwise. And that, these days, it what I spend my time designing.
I am not an investment adviser and I offer no financial advice. I merely express my ideas and provide computer code in support of those ideas. So if you have interest, treat my ideas and code as some sort of "education" to enrich your own thoughts and ideas. Fiddle with my code, play with the parameters.
I attach Blox for what I have rather unoriginally called TAA1. There are many unused variables in the code which I will clean up at some stage and there may be errors or absurdities in my thinking. Point them out to me. I will replace these Blox in time with cleaner versions.
In a further post over the next few days I will give some explanation of what this code is supposed to do. It was originally designed to suit the needs of a UK based fund manager who used it for his clients’ investments.
(Blox updated March 2, 2019)
Back in 2008 I wrote a book called "A Practical Guide to ETF Trading Systems" https://www.harriman-house.com/press/full/498 and I have spent a great deal of time since that date thinking about and coding simple systems to allocate assets using Exchange Traded Funds.
I have not been very consistent since that date in my own trading and investment. Having tinkered with futures and trend following for some years before my account was blown up in the Corzine inspired MF Global meltdown, I was always by nature more of a passive investor than a trader. I therefore looked more towards systems which required little maintenance.
For many years I also pondered the nature of markets in relation to physics. In particular I ventured far down the rabbit hole of randomness and determinism. I looked at chaos theory where, rightly or wrongly, it seems to have been decided that chaotic systems are unpredictable even if they are ultimately deterministic.
I decided that in my view it is impossible to predict stock prices and therefor gave up the attempt.
In trading I have always aimed to shoot the lights out - and for many years I managed this rather well. Not through any sort of skill or genius but by taking advantage of an anomaly - the market for Initial Public Offerings. Buying stock from the underwriters before issue and selling when trading commenced.
It dawned on me slowly that this sort of anomaly is necessary for successful trading and that particular anomaly did not last for a number of reasons. Trend Following in the futures markets likewise suited many and made them handsome fortunes for some years - then for a different clutch of reasons it ceased to work so well and a number of the best known CTAs went bust - or rather their funds did.
Other market anomalies continue to work but remain outside the reach of the mere mortal. Steve Cohen made staggering returns for many years but he was eventually closed down by the SEC for well documented reasons. High Frequency Trading relies on the bid offer spread and legal (?) front running but is too costly and complex for most of us.
And so on throughout the years. Traders and hedge fund managers have found a niche, they have lived and prospered from huge fees. And then their niche has disappeared and so have they. Often the managers will have acquired riches beyond dreams. Usually their investors will not have been so lucky.
If you can find such a niche, go for it.
But there is a less glamorous approach to markets for those who can not. Simple asset allocation, particularly in the stock markets. Over time, since the beginning of the industrial revolution and continuing through our current technological revolution, stock markets have shown an upward drift. Over the long term it has thus far been possible to invest and prosper by simply holding stock market assets. But this is only possible if some sort of quantitative approach is adopted since the great majority of stocks end without value.
The stock market index is such a strategy - it buys winners and sells losers.
It may be possible to better index returns using simple asset allocation strategies, tactical or otherwise. And that, these days, it what I spend my time designing.
I am not an investment adviser and I offer no financial advice. I merely express my ideas and provide computer code in support of those ideas. So if you have interest, treat my ideas and code as some sort of "education" to enrich your own thoughts and ideas. Fiddle with my code, play with the parameters.
I attach Blox for what I have rather unoriginally called TAA1. There are many unused variables in the code which I will clean up at some stage and there may be errors or absurdities in my thinking. Point them out to me. I will replace these Blox in time with cleaner versions.
In a further post over the next few days I will give some explanation of what this code is supposed to do. It was originally designed to suit the needs of a UK based fund manager who used it for his clients’ investments.
(Blox updated March 2, 2019)